On estimating market microstructure noise variance
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DOI: 10.1016/j.econlet.2016.11.009
Abstract: We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study… read more here.
Keywords: noise variance; market microstructure; microstructure noise;
The Market Microstructure of Central Bank Bond Purchases
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109018001370
Abstract: We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystem’s QE program). An initial analysis of purchase decisions reveals that portfolio managers consider… read more here.
Keywords: microstructure central; bond purchases; central bank; market microstructure ... See more keywords
Detecting price jumps in the presence of market microstructure noise
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DOI: 10.1080/10485252.2019.1643019
Abstract: ABSTRACT In this paper we design a test to detect the arrivals of jumps in asset prices contaminated by market microstructure noise. This test is defined by means of the truncated two-scales realised volatility estimator,… read more here.
Keywords: test; presence; market microstructure; microstructure noise ... See more keywords
Market microstructure and securities values: empirical evidence from the Tunisian Stock Market
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DOI: 10.1504/ijesb.2020.10025937
Abstract: This study proposes to examine the price reaction of a sample of stocks listed on the Tunisian Stock Market following their transfer between continuous trading and fixing trading from January 2005 to January 2017 by… read more here.
Keywords: market; evidence; stock market; tunisian stock ... See more keywords
Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
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DOI: 10.3150/17-bej962
Abstract: We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of maximum-likelihood- and Bayes-type estimators based on… read more here.
Keywords: diffusion; microstructure noise; noise; diffusion processes ... See more keywords